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An operational calculus for probability distributions via Laplace transforms

Part of: Distribution theory - Probability

Published online by Cambridge University Press:  01 July 2016

Joseph Abate  and
Ward Whitt
Joseph Abate*
Affiliation:
AT&T Bell Laboratories
Ward Whitt*
Affiliation:
AT&T Bell Laboratories
*
* Postal address: 900 Hammond Rd., Ridgewood, NJ 07450-2908, USA.
** Postal address: AT&T Bell Laboratories, Room 2C-178, Murray Hill, NJ 07974-0636, USA.
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Abstract

In this paper we investigate operators that map one or more probability distributions on the positive real line into another via their Laplace–Stieltjes transforms. Our goal is to make it easier to construct new transforms by manipulating known transforms. We envision the results here assisting modelling in conjunction with numerical transform inversion software. We primarily focus on operators related to infinitely divisible distributions and Lévy processes, drawing upon Feller (1971). We give many concrete examples of infinitely divisible distributions. We consider a cumulant-moment-transfer operator that allows us to relate the cumulants of one distribution to the moments of another. We consider a power-mixture operator corresponding to an independently stopped Lévy process. The special case of exponential power mixtures is a continuous analog of geometric random sums. We introduce a further special case which is remarkably tractable, exponential mixtures of inverse Gaussian distributions (EMIGs). EMIGs arise naturally as approximations for busy periods in queues. We show that the steady-state waiting time in an M/G/1 queue is the difference of two EMIGs when the service-time distribution is an EMIG. We consider several transforms related to first-passage times, e.g. for the M/M/1 queue, reflected Brownian motion and Lévy processes. Some of the associated probability density functions involve Bessel functions and theta functions. We describe properties of the operators, including how they transform moments.

Keywords

UNIMODAL DISTRIBUTIONSINFINITELY DIVISIBLE DISTRIBUTIONSLEVY PROCESSESCOMPLETE MONOTONICITYCUMULANTSMOMENTSRANDOM SUMSINVERSE GAUSSIAN DISTRIBUTIONSRENEWAL PROCESSESSUBORDINATIONFIRST-PASSAGE TIMESBESSEL FUNCTIONSTHETA FUNCTIONSMIMI1 QUEUERANDOMIZED RANDOM WALKBROWNIAN MOTIONPOLLACZEK-KHINTCHINE FORMULA

MSC classification

Primary: 60E10: Characteristic functions; other transforms
Secondary: 60E07: Infinitely divisible distributions; stable distributions

Information

Type
General Applied Probability
Information
Advances in Applied Probability , Volume 28 , Issue 1 , March 1996 , pp. 75 - 113
Copyright
Copyright © Applied Probability Trust 1996 

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